Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0028
Annualized Std Dev 0.1411
Annualized Sharpe (Rf=0%) -0.0200

Row

Daily Return Statistics

Close
Observations 5012.0000
NAs 1.0000
Minimum -0.1493
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.0911
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0089
Skewness -1.4207
Kurtosis 35.2616

Downside Risk

Close
Semi Deviation 0.0066
Gain Deviation 0.0063
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0066
Downside Deviation (0%) 0.0066
Maximum Drawdown 0.5160
Historical VaR (95%) -0.0127
Historical ES (95%) -0.0212
Modified VaR (95%) -0.0115
Modified ES (95%) -0.0115
From Trough To Depth Length To Trough Recovery
2006-02-21 2008-12-16 2012-11-01 -0.5160 1684 708 976
2012-11-02 2020-03-18 NA -0.3347 2109 1855 NA
2004-03-02 2004-05-10 2006-02-17 -0.2030 495 49 446
2001-05-03 2002-11-25 2003-07-01 -0.1443 534 385 149
2003-07-07 2003-09-03 2004-01-08 -0.0974 130 42 88

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA -0.3 -0.5 -0.9 0.8 0.4 0.2 0.5 0.5 0.9 -0.9 0.7
2002 1.1 0.1 0.1 0.1 -0.9 2.3 -0.3 0.8 -0.3 2.1 -0.1 0.9 6.1
2003 0.3 0.9 0.8 0.3 0.3 1 -0.3 -0.2 0.1 0.9 -2.2 0.1 1.9
2004 -1.5 2.2 0.1 0.7 1.7 2.1 1 0.5 -0.7 0.8 -1.7 -0.8 4.5
2005 2.3 0.7 0.4 0.7 -0.3 1.2 0.2 -0.1 1.1 0.5 -1 2.1 8
2006 0.6 1.1 1.6 -0.5 0.9 -0.5 -1 -0.1 1 -0.9 1.1 0.3 3.8
2007 -0.1 0.5 -0.2 -0.6 1.4 1.5 0.1 1 1.1 -0.2 0 0.2 4.7
2008 0.2 -1.3 0.2 0.2 0.6 -0.6 0.6 0.2 0.7 0.3 -1.9 -1.8 -2.6
2009 0.4 -0.2 0.2 2.9 -0.8 0.3 0.2 -0.2 -0.7 0.6 0.3 -0.3 2.6
2010 0.7 0.2 0.8 -0.1 0.3 -0.2 0.4 0.1 -0.2 0.1 0.3 4.1 6.5
2011 0.3 1.4 0.5 -0.2 -0.2 0.5 0.8 0.1 0.5 0.6 0.5 0 4.8
2012 0.1 0 0.9 0 -0.1 -0.9 0.4 0.6 1.4 1 0.1 -0.6 2.9
2013 0.3 0.1 0.3 -0.4 -1.7 -0.1 -1.7 0.3 -0.3 -1 -0.3 -0.6 -5.1
2014 0.8 0.2 -0.5 0.7 -0.6 -0.6 -0.2 0.4 0.8 -0.4 0.1 0.1 0.9
2015 0.6 0.9 0.3 -0.4 0.1 -0.3 0.4 0 0 0.5 0.5 0.4 3
2016 0.1 0.3 0.5 0.5 0.7 0.1 0.3 0.2 -0.1 -0.1 -1.2 0.2 1.3
2017 -0.1 -0.3 -0.2 0.4 0.3 0 0.3 0.4 -0.1 0.1 0.2 0.3 1.5
2018 -0.4 0.3 0.1 -0.1 -0.2 0.3 -0.2 -0.2 0.2 0 0.3 0.3 0.3
2019 0.5 0.1 0.1 0.2 0.1 -0.1 0.6 -0.1 0.3 -0.2 -0.3 0.4 1.7
2020 -0.1 -1.3 -3.3 -0.5 0.4 0.2 0.4 0.4 0.1 0 0.5 1.1 -2.2
2021 0.5 0.5 0.1 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-03-28  15.0 SPY    115. -0.0276   0.0248  -0.0902   -0.131   -0.238       NA       NA <NA>     NA    NA       NA
2 2001-03-29  15.0 SPY    115.  0.0038   0.0392  -0.0683   -0.134   -0.236       NA       NA <NA>     NA    NA       NA
3 2001-03-30  15   SPY    117.  0.0105   0.0193  -0.0635   -0.127   -0.215       NA       NA <NA>     NA    NA       NA
4 2001-04-02  15.1 SPY    114. -0.0213  -0.015   -0.0761   -0.130   -0.241       NA       NA <NA>     NA    NA       NA
5 2001-04-03  15.1 SPY    110. -0.0334  -0.0669  -0.115    -0.143   -0.270       NA       NA <NA>     NA    NA       NA
6 2001-04-04  15   SPY    111.  0.0042  -0.0364  -0.121    -0.179   -0.240       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart